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Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2021

We document large, longer-term, joint regime shifts in asset valuations and the real federal funds rate-r* spread. To interpret these findings, we estimate a novel macro-finance model of monetary transmission and find that the documented regimes coincide with shifts in the parameters of a policy...

Persistent link: https://www.econbiz.de/10013234115

Aid Volatility and Economic Growth of Pakistan : A Macroeconomic Policy Framework

Mansoor, Sadia; Javid, Muhammad; Baig, Mirza Aqeel - 2021

This study explores the linkage among aid volatility, macroeconomic policies, and economic growth of Pakistan (1972 …-2015). We have empirically analyzed the impact of foreign aid volatility on economic growth conditional to the macroeconomic … foreign aid volatility both negatively affect economic growth under the current macroeconomic policy framework of Pakistan …

Persistent link: https://www.econbiz.de/10013244233

Monetary Policy and Asset Price Volatility

Bernanke, Ben; Gertler, Mark - 2021

We explore the implications of asset price volatility for the management of monetary policy. We show that it is …

Persistent link: https://www.econbiz.de/10013245101

Central Bank Communication Choices : Adverse Selection, Volatility and Liquidity in a Market With Fast and Slow Traders

Benamar, Hedi; Chaboud, Alain; Vega, Clara - 2021

We study the impact of different central bank communication practices on the trading behavior and profitability of fast and slow traders in the foreign exchange market. We focus, in particular, on how the Bank of Japan's practice of introducing some randomness to the time at which it releases...

Persistent link: https://www.econbiz.de/10013247078

Implications of Macroeconomic Volatility in the Euro Area

Hauzenberger, Niko; Böck, Maximilian; Pfarrhofer, Michael - 2021

In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to …

Persistent link: https://www.econbiz.de/10013213954

Welfare Implications of Asset Pricing Facts : Should Central Banks Fill Gaps or Remove Volatility?

Lopez, Pierlauro - 2021

the central bank should prioritize removing consumption volatility (a targeting of risk premia) over filling the gap …

Persistent link: https://www.econbiz.de/10013213978

Expectation Traps and Discretion

Chari, Varadarajan V.; Christiano, Lawrence J.; … - 2021

-decreasing volatility in output and employment. We refer to the latter type of equilibria as expectation traps. In effect, our paper …

Persistent link: https://www.econbiz.de/10013215360

Inflation targeting under inflation uncertainty : multi-economy evidence from a stochastic volatility model

Hartmann, Matthias; Herwartz, Helmut; Ulm, Maren - In: Macroeconomic dynamics 26 (2022) 5, pp. 1302-1337

Persistent link: https://www.econbiz.de/10013270236

Buffering monetary and exchange rate shocks : are capital controls effective?

Zehri, Chokri - In: International review of applied economics 36 (2022) 1, pp. 102-128

Persistent link: https://www.econbiz.de/10013271553

Volatility forecasting in European government bond markets

Özbekler, Ali Gencay; Kontonikas, Alexandros; … - In: International journal of forecasting 37 (2021) 4, pp. 1691-1709

Persistent link: https://www.econbiz.de/10013274332